Market anomalies and Bid-Ask prices in fixed income securities

Alejandro Vargas () and Cristian CalderÛn
Additional contact information
Alejandro Vargas: Centro de Investigación en Innovación Financiera, Universidad Privada Boliviana
Cristian CalderÛn: Centro de Investigación en Innovación Financiera, Universidad Privada Boliviana

Investigación & Desarrollo, 2015, vol. 2, issue 1, 59-75 pages

Abstract: This paper presents the concepts related to market efficiency, anomalies, and the methods used to estimate supply and demand functions. The main objective was the determination of Bid-Ask prices, on the Securities Market of Colombia for fixed income instruments.. The application and analysis of results was performed using information from the Colombia Stock Exchange. The results achieved by applying an econometric model of two stage least squares, allowed the determination of BID-ASK spread. The study revealed the presence of transactions whose prices are outside the BID-ASK range, which contrast the existence of anomalies in the market, particularly in economic sectors with few financial instruments transactions.

Keywords: Market efficiency; market anomalies; BID-ASK prices; 2SLS. (search for similar items in EconPapers)
JEL-codes: C10 O10 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www1.upb.edu/RePEc/iad/wpaper/0415.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iad:wpaper:0415

Access Statistics for this article

More articles in Investigación & Desarrollo from Universidad Privada Boliviana Contact information at EDIRC.
Bibliographic data for series maintained by Ricardo Nogales C. ().